IBEX 35 (Spain) Backtesting

IBEX -- Spain Index  

 8,892  2.50  0.0281%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of IBEX 35 and determine expected loss or profit from investing in IBEX 35 over given investment horizon. See also IBEX 35 Hype Analysis, IBEX 35 Correlation, Portfolio Optimization, IBEX 35 Volatility as well as analyze IBEX 35 Alpha and Beta and IBEX 35 Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

IBEX 35 'What if' Analysis

September 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 19, 2018
0.00
If you would invest  0.00  in IBEX 35 on September 19, 2018 and sell it all today you would earn a total of 0.00 from holding IBEX 35 or generate 0.0% return on investment in IBEX 35 over 30 days.

IBEX 35 Upside/Downside Indicators

Information Ratio0.1
Maximum Drawdown5.21
Value At Risk1.69
Potential Upside1.71
  

IBEX 35 Market Premium Indicators

Risk Adjusted Performance0.24
Total Risk Alpha0.09

IBEX 35 Backtested Returns

IBEX 35 holds Efficiency (Sharpe) Ratio of -0.2034 which attests that IBEX 35 had -0.2034% of return per unit of return volatility over the last 1 month. Macroaxis approach into determining risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Even though it is essential to pay attention to IBEX 35 current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis approach into determining future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.45 

Average predictability

IBEX 35 has average predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from September 19, 2018 to October 4, 2018 and October 4, 2018 to October 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of IBEX 35 price movement. The serial correlation of 0.45 indicates that just about 45.0% of current IBEX 35 price fluctuation can be explain by its past prices.
Correlation Coefficient0.45
Spearman Rank Test0.43
Residual Average0.0
Price Variance29601.07

IBEX 35 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

IBEX 35 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

IBEX 35 Lagged Returns

 Regressed Prices 
      Timeline 

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See also IBEX 35 Hype Analysis, IBEX 35 Correlation, Portfolio Optimization, IBEX 35 Volatility as well as analyze IBEX 35 Alpha and Beta and IBEX 35 Performance. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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